유동성

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  1. 1. Acharya, V., H. Almeida, F. Ippolito, and A. Perez (2014). "Credit lines as monitored liquidity insurance: Theory and evidence," Journal of Financial Economics 112(3), 287-319. 상세보기
  2. 2. Acharya, V., S. A. Davydenko, and I. A. Strebulaev (2012). "Cash Holdings and Credit Risk," Review of Financial Studies 25 (12), 3572-3609. 상세보기
  3. 3. Acharya, V. V., H. Almeida, and M. Campello (2007). "Is Cash Negative Debt? A Hedging Perspective on Corporate Financial Policies," Journal of Financial Intermediation 16(4), 515-554. 상세보기
  4. 4. Acharya, V. V., H. Almeida, and M. Campello (2013). "Aggregate Risk and the Choice between Cash and Lines of Credit," The Journal of Finance 68(5), 2059-2116. 상세보기
  5. 5. Almeida, H., M. Campello, and M. S. Weisbach (2004). "The Cash Flow Sensitivity of Cash," Journal of Finance 60(4), 1777-1804.
  6. 6. Ball, R., S. P. Kothari, and A. Robin (2000). "The Effect of International Institutional Factors on Properties of Accounting Earnings," Journal of Accounting 유동성 and Economics 29(1), 1-51. 상세보기
  7. 7. Ball, R., A. Robin, and J. S. Wu (2003). "Incentives versus Standards: Properties of Accounting Income in Four East Asian Countries," Journal of Accounting and Economics 36(1-3), 235-270. 상세보기
  8. 8. Bates, T. W., K. M. Kahle, and R. M. Stulz (2009). "Why do US Firms Hold So Much More Cash than They Used to?," Journal of Finance 64(5), 1985-2021. 상세보기
  9. 9. Bharath, S. T., J. Sunder, and S. V. Sunder (2008). "Accounting Quality and Debt Contracting," The Accounting Review 83(1), 1-28. 상세보기
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  14. 14. Blanchard, O. J., F. Lopez-de-silanes, and A. Shleifer (1994). "What do firms do with cash windfalls?," Journal of Financial Economics 36(3), 337-360. 상세보기
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  17. 17. Bushman, R. M. and J. D. Piotroski (2006). "Financial Reporting Incentives for Conservative Accounting: The Influence of Legal and Political Institutions," Journal of Accounting and Economics 42(1-2), 107-148. 상세보기
  18. 18. Bushman, R. M., J. D. Piotroski, and A. J. Smith (2004). "What Determines Corporate Transparency?," Journal of Accounting Research 42(2), 207-252. 상세보기
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  22. 22. Dittmar, A., J. Mahrt-Smith, and H. Servaes (2003). "International Corporate Governance and Corporate Cash Holdings," Journal of Financial and Quantitative Analysis 38(1), 111-133. 상세보기
  23. 23. Djankov, S., R. La Porta, F. Lopez-de-Silanes, and A. Shleifer (2008). "The Law and Economics of Self-Dealing," Journal of Financial Economics 88(3), 430-465. 상세보기
  24. 24. Easley, D. and M. O'Hara (2004). "Information and the Cost of Capital," The Journal of Finance 59(4), 1553-1583. 상세보기
  25. 25. Faleye, O. (2004). "Cash and Corporate Control," Journal of Finance 59(5), 2041-2060. 상세보기
  26. 26. Faulkender, M. and R. Wang (2006). "Corporate Financial Policy and the Value of Cash," Journal of Finance 61(4), 1957-1990. 상세보기
  27. 27. Flannery, M. J., S. H. Kwan, and M. Nimalendran (2004). "Market Evidence on the Opaqueness of Banking Firms' Assets," Journal of Financial Economics 71(3), 419-460. 상세보기
  28. 28. Fresard, L. (2010). "Financial Strength and Product Market behavior: The Real Effects of Corporate Cash Holdings," Journal of Finance 65(3), 1097-1122. 상세보기
  29. 29. Fresard, L. and C. Salva (2010). "The value of excess cash and corporate governance: Evidence from US cross-listings," Journal of Financial Economics 98(2), 359-384. 상세보기
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[경제동향] 홍콩, 아시아지역 외환보유액 둔화로 세계 유동성 위축 전망(01.09)

ㅇ 모건스탠리社는 2006년도 아시아지역의 외환보유액 둔화 추세가 세계 유동성을 위축 시킬 것으로 전망하고

ㅇ 2006년도 금융시장은 추세보다 변동성이 대세를 이룰 것으로 예상함.(주홍콩총영사관 01.09일자 보고)

□ 모건스탠리社 경제분석가 Andy Xie는 "Liquidity Receding"(1.6)에서 아시아가 달러화 및 무역중심 지역이기 때문에 아시아의 외환보유액 변동이 세계유동성 상황을 가장 잘 예고하고 있다고 하면서

ㅇ 최근 아시아의 외환보유액이 지난해 연평균 증가율(23%)보다 낮은 증가세를 나타내고 특히 중국의 경우 무역수지흑자보다도 적게 증가함에 따라 세계유동성이 위축되고 있다고 주장함.

ㅇ 또한 주로 미 달러화의 강세 및 FRB의 금리인상으로 인한 아시아의 외환보유액 정체는 지금까지 대체로 신흥시장의 실적 악화로 이어졌다고 분석하면서

  • FRB가 조만간 금리인상을 종료하더라도 향후 18개월 이내 금리를 인하할 가능성이 없기 때문에 아시아의 외환보유액 둔화추세가 역전되기는 어려울 것으로 평가함.

□ 2006년도 금융시장은 세계 주요 중앙은행들이 유동성을 추가로 공급할 가능성이 낮기 때문에 추세보다는 변동성이 대세를 이룰 것으로 전망함.

□ 일본엔화의 경우 일본정부가 디플레이션 상황으로부터 초래된 재정적자를 감축하기 위해 재정긴축을 추진하면서 완만한 통화정책을 유지할 것으로 예상되기 때문에 2006년 일본 엔화는 약세를 기록할 것으로 전망함.

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Do Opaque Firms Prefer Liquidity? An International Evidence

본 연구에서는 세계 각국의 자료를 이용하여 현금보유와 발생액의 질로 측정한 재무보고의 질의 관계를 연구하였다. 본 연구의 실증분석결과는 미국을 제외한 세계 각국의 시장에서 현금보유가 재무보고의 불투명성과 양의 상관관계가 있음을 발견하였다. 이러한 관계는 투자자보호가 강해짐에 따라 더욱 강하게 나타났는데, 이것은 대리인 동기가 아닌 예방적 동기가 불투명한 기업의 현금보유의 주요 결정요인임을 보여준다. 이러한 양의 상관관계는 재량적 발생액의 질에서 뚜렷하게 나타났다. 투자자보호를 그 속성별로 나누어 본 결과는 규제기관을 통한 투자자보호가 기업 재무보고의 불투명성과 현금보유 사이의 양의 관계를 강화하는 것으로 나타났다.

Abstract

Using an international setting, this study investigates the relation between cash holdings and financial reporting quality, measured by accruals quality. Empirical results show that the balance of cash holdings is positively related to the opacity of financial reporting in non-U.S. international markets. The relation becomes stronger as the strength of investor protection increases, implying that precautionary motives, instead of agency motives, drive the increase of cash holdings of opaque firms. In addition, the positive relation is stronger for discretionary accruals quality. The decomposition of the aspects of investor protection shows that public enforcement through regulation authorities is the main driver of the positive relation between cash holdings and the opacity of financial reporting.

참고문헌 (70)

  1. 1. Acharya, V., H. Almeida, F. Ippolito, and A. Perez (2014). "Credit lines as monitored liquidity insurance: Theory and evidence," Journal of Financial Economics 112(3), 287-319. 상세보기
  2. 2. Acharya, V., S. A. Davydenko, and I. A. Strebulaev (2012). "Cash Holdings and Credit Risk," Review of Financial Studies 25 (12), 3572-3609. 상세보기
  3. 3. Acharya, V. V., H. Almeida, and M. Campello (2007). "Is Cash Negative Debt? A Hedging Perspective on Corporate Financial Policies," Journal of Financial Intermediation 16(4), 515-554. 상세보기
  4. 4. Acharya, V. V., H. Almeida, and M. Campello (2013). "Aggregate Risk and the Choice between Cash and Lines of Credit," The Journal of Finance 68(5), 2059-2116. 상세보기
  5. 5. Almeida, H., M. Campello, and M. S. Weisbach (2004). "The Cash Flow Sensitivity of Cash," Journal of Finance 60(4), 1777-1804.
  6. 6. Ball, R., S. P. Kothari, and A. Robin (2000). "The Effect of International Institutional Factors on Properties of Accounting Earnings," Journal of Accounting and Economics 29(1), 1-51. 상세보기
  7. 7. Ball, R., A. Robin, and J. S. Wu (2003). "Incentives versus Standards: Properties of Accounting Income in Four East Asian Countries," Journal of Accounting and Economics 36(1-3), 235-270. 상세보기
  8. 8. Bates, T. W., K. M. Kahle, and R. M. Stulz (2009). "Why do US Firms Hold So Much More Cash than They Used to?," Journal of Finance 64(5), 1985-2021. 상세보기
  9. 9. Bharath, S. T., J. Sunder, and S. V. Sunder (2008). "Accounting Quality and Debt Contracting," The Accounting Review 83(1), 1-28. 상세보기
  10. 10. Bhattacharya, U. and H. Daouk (2002). "The World Price of Insider Trading," The Journal of Finance 57(1), 75-108. 상세보기
  11. 11. Bhattacharya, U., H. Daouk, and M. Welker (2003). "The World Price of Earnings Opacity," The Accounting Review 78(3), 641-678. 상세보기
  12. 12. Biddle, G. C. and G. Hilary (2006). "Accounting Quality and Firm-Level Capital Investment," The Accounting Review 81(5), 963-982. 상세보기
  13. 13. Biddle, G. C., G. Hilary, and R. S. Verdi (2009). "How Does Financial Reporting Quality Relate to Investment Efficiency?," Journal of Accounting and Economics 48(2-3), 112-131. 상세보기
  14. 14. Blanchard, O. J., F. Lopez-de-silanes, and A. Shleifer (1994). "What do firms do with cash windfalls?," Journal of Financial Economics 36(3), 337-360. 상세보기
  15. 15. Botosan, C. A. (1997). "Disclosure Level and the Cost of Equity Capital," The Accounting Review 72(3), 323-349. 상세보기
  16. 16. Botosan, C. A. and M. A. Plumlee (2002). "A Re-examination of Disclosure Level and the Expected Cost of Equity Capital," Journal of Accounting Research 40(1), 21-40. 상세보기
  17. 17. Bushman, R. M. and J. D. Piotroski (2006). "Financial Reporting Incentives for Conservative Accounting: The Influence of Legal and Political Institutions," Journal of Accounting and Economics 42(1-2), 107-148. 상세보기
  18. 18. Bushman, R. M., J. D. Piotroski, and A. J. Smith (2004). "What Determines Corporate Transparency?," Journal of Accounting Research 42(2), 207-252. 상세보기
  19. 19. Dechow, P. and I. Dichev (2002). The "Quality of Accounting and Earnings: The Role of Accrual Estimation Errors," The Accounting Review 77(1), 35-59. 상세보기
  20. 20. Dechow, P., R. Sloan, and A. Sweeney (1995). "Detecting Earnings Management," The Accounting Review 70(2), 193-225. 상세보기
  21. 21. Dittmar, A. and J. Mahrt-Smith (2007). "Corporate Governance and the Value of Cash Holdings," Journal of Financial Economics 83(3), 599-634. 상세보기
  22. 22. Dittmar, A., J. Mahrt-Smith, and H. Servaes (2003). "International Corporate Governance and Corporate Cash Holdings," Journal of Financial and Quantitative Analysis 38(1), 111-133. 상세보기
  23. 23. Djankov, S., R. La Porta, F. Lopez-de-Silanes, and A. Shleifer (2008). "The Law and Economics of Self-Dealing," Journal of Financial Economics 88(3), 430-465. 상세보기
  24. 24. Easley, D. and M. O'Hara (2004). "Information and the Cost of Capital," The Journal of Finance 59(4), 1553-1583. 상세보기
  25. 25. Faleye, O. (2004). "Cash and Corporate Control," Journal of Finance 59(5), 2041-2060. 상세보기
  26. 26. Faulkender, M. and R. Wang (2006). "Corporate Financial Policy and the Value of Cash," Journal of Finance 61(4), 1957-1990. 상세보기
  27. 27. Flannery, M. J., S. H. Kwan, and M. Nimalendran (2004). "Market Evidence on the Opaqueness of Banking Firms' Assets," Journal of Financial Economics 71(3), 419-460. 상세보기
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예적금 증가로 4월 시중 유동성 8.5조원 증가

페이스북 공유 트위터 공유 카카오톡 공유 카카오스토리 공유 네이버밴드 공유 네이버블로그 공유 구분선 댓글

입력 : 2022-06-15 14:29 ㅣ 수정 : 2022-06-15 15:52

주식 등 위험자산에 투자된 돈이 안전한 투자처로 이동하는 ‘역(逆) 머니무브’ 현상이 본격화하면서 지난 4월 시중에 풀린 돈(유동성)이 한 달 만에 다시 증가했다.

15일 한국은행의 ‘통화 및 유동성 통계’에 따르면 4월 광의 통화량(M2 기준)은 3667조 1000억원으로, 한 달 새 8조 5000억원(0.2%) 증가했다. 4월 유동성은 1년 전과 비교하면 9.5% 증가한 규모다. 다만 1년 전과 비교한 증가율은 1년 4개월 만에 10% 아래로 떨어지면서 증가세는 소폭 둔화되는 모양새다.

넓은 의미의 통화량 지표인 M2에는 현금, 요구불예금, 수시입출금 예금 등 당장 현금처럼 쓸 수 있는 돈뿐 아니라 머니마켓펀드(MMF), 2년 미만 정기 예·적금, 수익증권, 양도성예금증서(CD), 환매조건부채권(RP) 등 쉽게 현금화할 수 있는 단기 금융상품까지 포함된다. 2년 이상 정기 예적금은 M2 기준 통화로 잡히지 않는다.

코로나19 확산 이후 시중에 막대한 돈이 풀리면서 매달 큰 폭으로 증가하던 유동성은 지난 3월 2018년 9월 이후 3년 6개월 만에 처음으로 감소했다. 하지만 금리 인상과 금융시장 변동성 확대로 2년 미만 은행 예적금에 돈이 몰리면서 유동성은 한 달 만에 다시 늘었다. 한은은 “위험자산에서 이탈해 정기예적금으로 몰리는 현상과 함께 4월에는 가계대출도 소폭 증가했다”고 설명했다.

가계의 경우 주식 등 자산을 팔면서 유동성은 정기 예적금과 요구불예금 중심으로 증가했다. 가계·비영리단체에서는 한 달 새 유동성이 16조 2000억원 늘었다. 반면 기업은 대출이 큰 폭으로 늘었지만, 배당금 지급 등으로 지출한 돈이 증가하면서 유동성이 7조 7000억원 감소했다. 증권·보험사 등 기타금융기관에서도 유동성이 12조 2000억원 줄었다.

Earticle

한국주식시장에서 유동성 측정치 비교
Comparisons of Liquidity Measures in the Korean Stock Market

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  • 페이지 pp.37-88
  • 저자 양철원
  • 언어 한국어(KOR)
  • URL https://www.earticle.net/Article/A238206 복사

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영어 음성듣기 --> The notion of liquidity is widely used in the finance area, such as in the studies of market microstructure and asset pricing. And yet, so many liquidity measures are available with little consensus on which measure is the most appropriate that it is difficult for researchers to decide which one they should adopt for their studies. In the US, Goyenko, Holden and Trzcinka (2009) provide a comprehensive study of liquidity measures. They run horseraces of the widely used proxies of liquidity, plus new proxies they developed against the high-frequency liquidity benchmarks. Lesmond (2005) investigates the liquidity measures of 23 emerging markets using 유동성 the quarterly bid-ask spread as a benchmark. His study includes the Korean stock market; however, it has a limitation in that the high-frequency measure is not employed as liquidity benchmark. This paper compares various liquidity measures in the Korean stock market to provide a guide for the use of liquidity measures by employing the high-frequency data. The paper runs horseraces of low-frequency liquidity measures derived from daily data against high-frequency liquidity benchmarks from intraday data. At first, I classify the liquidity measures into two categories: spread and price impact measures. Spread measures gauge the direct trading cost while price impact measures the indirect trading cost. Liquidity measures used in the paper are as following: (1) High-frequency spread benchmarks: Quoted spread, Effective spread, Realized spread. (2) Low-frequency spread measures: Roll, Roll2, Gibbs, LOT, Zero, Zero2, Liu, Turnover, Amihud, Pastor and Stambaugh, Amivest, KRX quoted spread. (3) High-frequency price impact benchmarks: Lambda (λ), 5-Minute Price Impact, Static Price Impact. (4) Low-frequency price impact measures: Roll Impact, Roll2 Impact, Gibbs Impact, LOT Impact, Amihud, Pastor and Stambaugh, Amivest. Next, comparisons of liquidity measures are performed on the Korean stock market. The Korean sample is comprised of 271 firms listed in the Korea Exchange for the period from April 1993 to December 2004. Monthly and annual liquidity measures are estimated and compared by using two methodologies: correlation and prediction error analysis. The first correlation metric is the average cross-sectional correlation based on individual firms between the high-frequency benchmarks and the low-frequency liquidity measures. The second correlation metric is the time-series correlation based on an equally-weighted portfolio. The third correlation metric is the pooling correlation based on all month (year)-firm observations. As prediction error metric, the mean bias and the root mean squared error (RMSE) between the benchmark and the liquidity proxy are used. The results from the prediction error are expected to be useful for market efficiency and corporate finance tests, since in these fields the correctly scaled proxy is needed. This paper provides us with important findings about liquidity measures. First, in the comparison of spread measures, the KRX quoted spread, which uses the closing quoted bid-ask spread, has the highest correlations (0.397~0.977) and the smallest prediction errors (mean bias: 0.000~0.007, RMSE: 0.001~0.008) with the high-frequency spread benchmarks. However, this measure has different property with the other low-frequency spread measures because it adopts one observation among high-frequency data rather than proxies spread. Among the spread proxies, Amihud performs the best in correlation analysis (0.12 2~0.943), and LOT in prediction errors analysis (mean bias: -0.002~0.006, RMSE: 0.005~ 0.010). LOT shows the highest accuracy: in summary statistics, the mean of monthly LOT is about 0.8% when the mean of the Quoted and Effective spread is about 1.0%. Moreover, LOT has high time-series correlations with the benchmarks and performs well in the portfolios stratified by the firm size and effective spread. Second, in the comparison of price impact measures, most low-frequency measures, except Pastor and Stambaugh, have high correlation with high-frequency benchmarks. Gibbs Impact and Amihud perform distinguishably well. Pastor and Stambaugh is likely to contain much estimation errors when it is estimated based on individual firms. Also, two robustness checks are performed. First, the sample period is divided into eight sub-periods by using the market index moving averages. Second, comparisons are also done using firms included in the KOSPI200 index. These analyses show the similar results with the previous. The result of a sub-period for 1997. 6~1998. 6, in which Korea experienced the severe financial crisis, shows lower correlations 유동성 and higher prediction errors than other sub-periods. 한국어 본 논문은 한국주식시장에서 고빈도 자료(일중자료)를 통하여 구한 유동성 측정치를 벤치마크로 사용하여 저빈도 자료(일별자료)를 사용한 유동성 측정치들을 비교분석 (horserace)하였다. 이를 통하여 한국주식시장에서 고빈도 유동성 측정치를 대체할 수 있는 저빈도 측정치에 대한 지침을 제시하고자 하였다. 분석은 유동성 측정치를 스프레드 측정치와 가격충격의 측정치의 두 범주로 구분하여 실시하였으며, 비교방법 으로는 상관계수와 예측오차를 사용하였다. 실증분석 결과, 스프레드 측정치들을 비 교하였을 때, 폐장 호가스프레드율를 사용한 거래소 공표 스프레드율이 고빈도 스프 레드에 가장 근접하였다. 스프레드의 대용치(proxy)들 중에서는 Amihud(Amihud, 2002, JFM)가 상관계수에서, 예측오차에서는 LOT(Lesmond, Ogden and Trzcinka, 1999, RFS)가 가장 우수하였다. 가격충격 측정치들을 비교하였을 때, 대부분의 저빈 도 측정치들이 벤치마크와 높은 상관관계를 가졌으며, 특히 Gibbs Impact(Hasbrouck, 2009, JF)와 Amihud가 일관되게 우수한 결과를 보였다. 이러한 결과들은 전체기간 을 시장상승기와 하락기로 구분하여서 8개의 하위기간으로 분석했을 때와 전체표본 중에서 KOSPI200에 속한 종목들을 분석하였을 때도 동일하게 나타났다.

요약
Abstract
Ⅰ. 서론
Ⅱ. 유동성 측정치들
1. 고빈도 자료를 사용한 스프레드 벤치마크
2. 저빈도 자료를 사용한 스프레드 측정치
3. 고빈도 자료를 사용한 가격충격(Price Impact) 벤치마크
4. 저빈도 자료를 사용한 가격충격(Price Impact) 측정치
Ⅲ. 자료
Ⅳ. 실증분석 결과
1. 월별/연도별 스프레드 측정치들의 비교 결과
2. 월별/연도별 가격충격 측정치들의 비교 결과
3. 시장상승기와 하락기 기간의 비교 결과
4. KOSPI200 소속기업의 유동성 측정치의 비교결과
5. 요약
Ⅴ. 결론
참고문헌

[서울=뉴시스] 신효령 기자 = 시중에 풀린 돈이 사상 처음으로 3380조원을 돌파했다. 한달 새 21조원 넘게 증가했다. 주식투자 열풍이 불면서 시중에 풀린 유동성이 주식시장으로 흐르는 현상은 지속됐다.

한국은행이 13일 발표한 '5월중 통화 및 유동성'에 따르면, 지난 5월 시중 통화량인 광의의 통화량(M2)은 3385조원(계절조정계열·평잔 기준)으로 전달(3363조6000억원)에 비해 21조4000억원(0.6%) 증가한 것으로 집계됐다. M2는 현금·요구불예금·수시입출식 저축성 예금 등 언제든 현금화가 가능한 협의통화(M1)에 머니마켓펀드(MMF), 2년 미만 정기 예·적금, 수익증권 등 금융상품을 포함하는 넓은 의미의 통화 지표다. M2 증가율(원계열·평잔 기준)은 전년 동월대비 11.0%다.

지난 5월 M2는 가계 및 비영리단체, 기업, 기타 금융기관 등 모든 경제주체에서 고루 늘었다. 가계부문의 M2는 전월보다 6조7000억원 늘어난 1651조4000억원이었다. 기업부문에서도 4조1000억원이 증가했으며, 기타금융기관은 15조7000억원 늘었다. 한은 관계자는 "보통 통화량은 증가폭이 최대인지 아닌지를 보는데, 4월에 시중에 풀린 통화량이 사상 최대 폭으로 늘었다"며 "그렇다보니 상대적으로 5월 시중 통화량의 월간 증가폭이 적어보인다"고 말했다.

이어 "경제주체별로 보면 기타 금융기관이 시중통화량 증가세를 이끌었다"며 "지난 5월에 4월처럼 공모주 청약과 같은 큰 규모의 이벤트가 없었으나 증가세가 유지된 것은 주식거래 관련 자금 수요가 있었기 때문으로 보인다. 개인이 증권사 쪽에 예치금을 많이 넣었다는 이야기"라고 부연했다.

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[서울=뉴시스] 13일 한국은행에 따르면, 지난 5월 시중 통화량인 광의의 통화량(M2)은 3385조원으로 전달(3363조6000억원)에 비해 21조4000억원(0.6%) 증가했다. 가계부문의 M2는 전월보다 6조7000억원 늘어난 1651조4000억원이다. (그래픽=안지혜 기자) [email protected]

상품별로는 수익증권이 6조2000억원 늘었으며, 언제든 돈을 쉽게 빼낼 수 있는 수시입출식 저축성예금에 4조7000억원이 몰렸다. MMF는 4조2000억원이 늘었다.

단기자금 지표인 M1(협의통화)은 1265조4000억원으로 전월대비 7조원(0.6%) 늘었다. 금융기관 유동성(Lf, 평잔)은 4677조9000억원으로 전월대비 0.4% 증가했다. 전년 같은 달보다는 9.2% 증가했다. 광의 유동성(L, 말잔)은 5923조2000억원으로 전월과 비교하면 0.5% 감소했다. 전년 동월 말 대비해 8.8% 늘었다.


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